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Essays on asset securitization, bank...

Lee, Hyun Jin.

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Essays on asset securitization, bank production costs, and the credit card market.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on asset securitization, bank production costs, and the credit card market./
作者:	Lee, Hyun Jin.
面頁冊數:	127 p.
附註:	Source: Dissertation Abstracts International, Volume: 65-02, Section: A, page: 0596.
Contained By:	Dissertation Abstracts International65-02A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3121570
ISBN:	0496689215

Essays on asset securitization, bank production costs, and the credit card market.
Lee, Hyun Jin.

Essays on asset securitization, bank production costs, and the credit card market. - 127 p.

Source: Dissertation Abstracts International, Volume: 65-02, Section: A, page: 0596.

Thesis (Ph.D.)--University of California, Berkeley, 2003.

The first chapter of this dissertation discusses developments in the 1990s that may have caused changes in the competitiveness of the credit card market, and empirically tests whether these changes made the market more competitive in the 1990s than in the 1980s. Following the conduct parameter method, I estimate elasticity-adjusted price-cost markups and find that the degree of competitiveness has changed significantly over the period 1984--2000: the hypotheses of perfect competition and Cournot oligopoly are both strongly rejected from 1984 to 1997, and after 1997 competition is intensified as the estimated conduct is at the level of perfect competition.

ISBN: 0496689215Subjects--Topical Terms:

1018458
Business Administration, Banking.

Essays on asset securitization, bank production costs, and the credit card market.
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500 $a Source: Dissertation Abstracts International, Volume: 65-02, Section: A, page: 0596.
500 $a Chair: Aviv Nevo.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2003.
520 $a The first chapter of this dissertation discusses developments in the 1990s that may have caused changes in the competitiveness of the credit card market, and empirically tests whether these changes made the market more competitive in the 1990s than in the 1980s. Following the conduct parameter method, I estimate elasticity-adjusted price-cost markups and find that the degree of competitiveness has changed significantly over the period 1984--2000: the hypotheses of perfect competition and Cournot oligopoly are both strongly rejected from 1984 to 1997, and after 1997 competition is intensified as the estimated conduct is at the level of perfect competition.
520 $a In the second chapter, I empirically examine how the rapidly growing securitization of credit card loans affects bank production costs. In theory, banks securitize credit card loans to better manage risks, lower regulatory capital costs, reduce funding costs, and diversify funding bases. To incorporate these securitization benefits, especially those related to risk and risk management in bank production, I adapt the banking technology model by Hughes, Lang, Mester, and Moon (2000). The estimation results show significant cost savings achieved by securitization for banks that securitize credit card loans; this cost savings may have given competitive advantages to those banks. I also find that banks with low-quality assets tend to securitize more.
520 $a In the third chapter, I analyze the 2001 Call Report data on asset securitization by commercial banks to find evidence of a difference in asset quality between securitizing and non-securitizing banks. I find that the overall quality of assets, including both balance sheet and securitized assets, is lower for securitizing banks than for non-securitizing banks. This is evidence that, in contrast to regulators' concerns, securitization does not particularly increase the riskiness of securitizing banks' balance sheet assets by forcing them to securitize only their best assets. However, the overall asset quality of securitizing banks is affected by securitization---namely, securitizing banks make riskier loans. This result, combined with the findings in the previous chapter, indicates that the asset-backed security market is a lemons market where banks with low-quality assets sell their risky assets.
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